Merging two edges that are identical
As mentioned in comments, multiple vertices that are in the same place can be removed by selecting them, and then pressing W while your cursor is over the 3d view area, and selecting 'Remove Doubles' from the pop-up menu. It is good practice to remove any doubled vertices that sometimes appear due to minor mistakes now and then, by selecting all vertices and doing the same thing. 

The last part of your question is a separate matter (and thus preferably would be a separate question for better clarity, but no worries). From what you say, it sounds like this is one object, a column, with everything joined together. If so, you can select everything connected to it by selecting any part of it and then pressing Ctrl + L. Then, select the reverse of that by pressing Ctrl + I. That will leave selected everything that isn't part of the column. You can take a closer look at what it is by pressing . on the Numpad, which zooms to what's selected.